Correlation Between Value and Momentum

Correlation Between Value and Momentum The correlation between value and momentum is near record lows. Below this level, value outperformed momentum over the next 250 days (77% of the time) since 1986. Image: BofA Merrill Lynch US Equity & US Quant Strategy

U.S. Energy Balance Leads Oil-Dollar Correlation

U.S. Energy Balance Leads Oil-Dollar Correlation Interesting chart suggesting that the U.S. real energy balance leads the oil-dollar correlation by three years. Image: Oxford Economics, Macrobond

VIX and MOVE Rolling Correlation

VIX and MOVE Rolling Correlation Periods of high correlation between safe and risk assets are generally not good for balanced portfolios, because diversification is hard to find. Image: Arbor Research & Trading LLC

U.S. Equity and Bond Correlation

U.S. Equity and Bond Correlation The potential risk for a 60/40 portfolio is that the negative correlation between U.S. equity and bond could flip. Image: BofA Merrill Lynch

Correlation Matrix

Correlation Matrix This grid shows the correlation between different asset classes. It is very useful for asset allocation. Image: Fidelity Investments

Correlation Between S&P 500 Index and MSCI EAFE Index

Correlation Between S&P 500 Index and MSCI EAFE Index Since 1997, the high correlation between U.S. and international equity markets suggests that the MSCI EAFE may only offer a slight risk/return benefit as a complement to a U.S. equity portfolio. Image: First Eagle Investment Management, LLC

VIX and MOVE Correlation

VIX and MOVE Correlation Periods of high correlation between VIX and MOVE are not good for balanced portfolios, because diversification is hard to find. Image: Arbor Research & Trading LLC